Jamal Awil

← An Engine, Not a Camera

LTCM expected this difference to reduce in size and entered into swap trades accordingly. [fact]

A particular idiosyncrasy identified by LTCM was that restrictions on many Italian banks meant that they had to hold Italian government short-maturity bills, Buoni Ordinari del Tesoro (BOTs), which were therefore anomalously expensive. LTCM expected this difference to reduce in size and entered into swap trades accordingly.

Donald MacKenzie, An Engine, Not a Camera, loc. 1606